Model: | Kalman-auto |
Usage Target: | 60.0 | Sigma: | 1.50 | ||
Max Duration: | 20 | Entry Mode: | Simple | Reversals: | |
Ve: | 0.001 | Neutrality: | beta | ||
Margin Req. 1: | 50.0 | Margin Req. 2: | 50.0 | ||
Version: | 5 | Model Version: | 2016.2 | Bid-Ask 0.02 / 0.02 |
Initial Capital: | 5000.00 | Final Equity: | 3155.31 |
Total net P/L: | -1844.69 | Total ROI: | -36.89 % |
CAGR: | -8.38 % | Max. DD: | 54.40 % |
System Score: | -2.805 | Sharpe Ratio: | -0.553 |
Start Date: | 2015-04-30 | End Date: | 2020-07-31 |
Total days: | 1919 | ||
Commissions: | 1234.67 | Comm.% P/L | 202.40 % |
Total Transactions: | 1108 | Log. Linearity: | 69.419 % |
Total | Long | Short | GWB | STL | |
---|---|---|---|---|---|
Total Profit/Loss | -610.02 | -275.83 | -334.19 | -1318.11 | 708.09 |
Total Profit | 7581.91 | 3596.77 | 3985.14 | 13163.71 | 13906.03 |
Total Loss | 8191.93 | 3872.60 | 4319.33 | 14481.82 | 13197.94 |
Profit Factor | 0.93 | 0.93 | 0.92 | 0.91 | 1.05 |
Trades | 277 | 151 | 126 | 277 | 277 |
Winning Trades | 165 | 96 | 69 | 137 | 155 |
Losing Trades | 112 | 55 | 57 | 140 | 121 |
% Profitable | 59.00 | 63.00 | 54.00 | 49.00 | 55.00 |
Profit/Loss Per Trade % | -0.06 | -0.07 | -0.04 | -0.20 | -0.03 |
Profit Per Trade % | 1.14 | 0.90 | 1.48 | 2.35 | 2.26 |
Loss Per Trade % | 1.76 | 1.69 | 1.83 | 2.50 | 2.70 |
Days In Trade | 855 | 437 | 418 | 855 | 855 |
Days In Trade (Avg. Per Trade) | 3.09 | 2.89 | 3.32 | 3.09 | 3.09 |
% Days In Trade | 44.55 | 22.77 | 21.78 | 44.55 | 44.55 |